As Finn said, you need to create a shortcut. Technically, you COULD copy files, but that would require you to copy ALL files and place them in a corresponding file structure. It's generally a bad idea to copy executable files rather than make shortcuts (also called links), both because many programs rely of files being located at a specific location in the file structure relative to the executable AND because you end up with wasted file space where you have an extra copy. A shortcut, in contrast, uses up just a few bytes (probably a couple of kilobytes, due to the file system, but it's still considerably less than an exe copy).
What you just did was to copy .\data\art\curses_640x300.png to .\curses_640x300.png, where "." is where the original and copied exe respectively happens to be. IF you'd get that corrected, you'd fail on the next file, and then the next,... There are quite a few of them, and I'd suspect the program would actually start but behave rather strange if some of them were missing, so you couldn't rely on the failure messages to correct it anyway.
Edit: To answer your question typed while I wrote:
If you've got a single hard disk (C:) I'd create a directory (a.k.a. folder) called e.g. Games at the top level inside that folder I'd create another one called Dwarf Fortress. I'd then unzip the contents of the zip file to that folder. (I.e. typically open the zip file, select everything in it, and then copy it). Thereafter you can create a shortcut to C:Games\Dwarf Fortress\Dwarf Fortress.exe by dragging the exe to the desktop while holding down shift and control at the same time (the icon changes from a '+' in the corner to a bent arrow).
Note that this sequence does NOT invalidate what I said above about copies being bad. Compressed data has to be uncompressed before being used (even if the computer may be able to execute and use the files within the compressed folder, the work would be slow because the computer would have to uncompress data every time.
If you have both an OS disk (typically an SSD disk) and a data disk, I'd uncompress to the corresponding path on D: instead of C:.